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Cyclical correlations, credit contagion, and portfolio losses

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  • Giesecke, Kay
  • Weber, Stefan
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-4BFXV40-3/2/f7bd8f950d51c0b951d9fb9516015ef4
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    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 28 (2004)
    Issue (Month): 12 (December)
    Pages: 3009-3036
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    Handle: RePEc:eee:jbfina:v:28:y:2004:i:12:p:3009-3036

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    For corrections or technical questions regarding this item, or to correct its listing, contact: (Jeroen Loos).

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    Cited by:
    1. Didier Rulli\`ere & Diana Dorobantu & Areski Cousin, 2009. "An extension of Davis and Lo's contagion model," Quantitative Finance Papers 0904.1653, arXiv.org, revised Feb 2010.
    2. Kiefer, Nicholas M., 2009. "Default estimation for low-default portfolios," Journal of Empirical Finance, Elsevier, vol. 16(1), pages 164-173, January.
    3. Gai, Prasanna & Kapadia, Sujit, 2010. "Contagion in financial networks," Bank of England working papers 383, Bank of England.
    4. Barro, Diana & Basso, Antonella, 2010. "Credit contagion in a network of firms with spatial interaction," European Journal of Operational Research, Elsevier, vol. 205(2), pages 459-468, September.
    5. Diana Barro & Antonella Basso, 2008. "A network of business relations to model counterparty risk," Working Papers 171, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    6. Samuel Hanson & M. Hashem Pesaran & Til Schuermann, 2005. "Firm Heterogeneity and Credit Risk Diversification," CESifo Working Paper Series 1531, CESifo Group Munich.
    7. Emilio Barucci & Marco Tolotti, 2009. "The dynamics of social interaction with agents’ heterogeneity," Working Papers 189, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    8. Til Schuermann & Kevin J. Stiroh, 2006. "Visible and hidden risk factors for banks," Staff Reports 252, Federal Reserve Bank of New York.

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